Portfolio of Investments – as of December 31, 2023 (Unaudited)Loomis Sayles High Income Opportunities Fund
Principal Amount | Description | Value (†) |
Bonds and Notes — 88.9% of Net Assets | ||
Non-Convertible Bonds — 85.2% | ||
ABS Car Loan — 0.5% | ||
$297,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | $281,424 |
162,500 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025(a) | 161,792 |
270,000 | Hertz Vehicle Financing III LLC, Series 2023-1A, Class D2, 9.130%, 6/25/2027(a) | 271,306 |
290,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 279,705 |
150,000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026(a) | 149,478 |
1,143,705 | ||
ABS Home Equity — 0.2% | ||
88,295 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD SOFR + 0.774%, 6.130%, 9/19/2045(b) | 46,402 |
449,187 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027(a)(b) | 449,750 |
496,152 | ||
Aerospace & Defense — 1.7% | ||
310,000 | Bombardier, Inc., 6.000%, 2/15/2028(a) | 302,026 |
1,335,000 | Bombardier, Inc., 7.125%, 6/15/2026(a) | 1,328,767 |
192,000 | Bombardier, Inc., 7.875%, 4/15/2027(a) | 192,034 |
220,000 | Bombardier, Inc., 8.750%, 11/15/2030(a) | 234,235 |
410,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | 430,088 |
470,000 | TransDigm, Inc., 6.250%, 3/15/2026(a) | 469,188 |
625,000 | TransDigm, Inc., 6.750%, 8/15/2028(a) | 639,426 |
90,000 | TransDigm, Inc., 6.875%, 12/15/2030(a) | 92,700 |
3,688,464 | ||
Airlines — 1.4% | ||
295,000 | Allegiant Travel Co., 7.250%, 8/15/2027(a) | 288,640 |
2,350,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(a) | 2,290,692 |
270,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.750%, 1/20/2026(a) | 254,378 |
220,000 | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.000%, 9/20/2025(a) | 158,217 |
105,000 | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.000%, 9/20/2025(a) | 75,513 |
3,067,440 | ||
Automotive — 2.9% | ||
45,000 | Allison Transmission, Inc., 4.750%, 10/01/2027(a) | 43,482 |
255,000 | American Axle & Manufacturing, Inc., 5.000%, 10/01/2029 | 225,281 |
55,000 | Ford Motor Co., 3.250%, 2/12/2032 | 45,744 |
1,645,000 | Ford Motor Credit Co. LLC, 2.300%, 2/10/2025 | 1,581,949 |
800,000 | Ford Motor Credit Co. LLC, 3.375%, 11/13/2025 | 765,529 |
200,000 | Ford Motor Credit Co. LLC, 4.542%, 8/01/2026 | 193,662 |
795,000 | Ford Motor Credit Co. LLC, 6.950%, 6/10/2026 | 815,530 |
400,000 | Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026 | 388,957 |
810,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c) | 718,470 |
485,000 | General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(c) | 441,331 |
Principal Amount | Description | Value (†) |
Automotive — continued | ||
$545,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c) | $503,302 |
200,000 | Jaguar Land Rover Automotive PLC, 5.500%, 7/15/2029(a) | 194,909 |
220,000 | Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028(a) | 217,184 |
190,000 | Wheel Pros, Inc., 6.500%, 5/15/2029(a) | 57,950 |
155,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(a) | 161,141 |
155,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(a) | 164,663 |
6,519,084 | ||
Banking — 1.9% | ||
665,000 | Barclays PLC, (fixed rate to 6/27/2033, variable rate thereafter), 7.119%, 6/27/2034 | 708,707 |
270,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 231,475 |
1,235,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,151,428 |
1,150,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(a) | 1,178,447 |
960,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(a) | 902,859 |
4,172,916 | ||
Brokerage — 0.6% | ||
180,000 | Coinbase Global, Inc., 3.375%, 10/01/2028(a) | 151,879 |
140,000 | Coinbase Global, Inc., 3.625%, 10/01/2031(a) | 108,170 |
290,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028(a) | 259,573 |
150,000 | NFP Corp., 4.875%, 8/15/2028(a) | 148,447 |
360,000 | NFP Corp., 6.875%, 8/15/2028(a) | 365,976 |
300,000 | NFP Corp., 8.500%, 10/01/2031(a) | 325,170 |
1,359,215 | ||
Building Materials — 2.5% | ||
100,000 | ACProducts Holdings, Inc., 6.375%, 5/15/2029(a) | 74,030 |
300,000 | Advanced Drainage Systems, Inc., 6.375%, 6/15/2030(a) | 302,248 |
525,000 | Beacon Roofing Supply, Inc., 6.500%, 8/01/2030(a) | 536,798 |
265,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032(a) | 239,025 |
315,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030(a) | 304,180 |
210,000 | Camelot Return Merger Sub, Inc., 8.750%, 8/01/2028(a) | 213,156 |
720,000 | Cemex SAB de CV, (fixed rate to 3/14/2028, variable rate thereafter), 9.125%(a)(c) | 766,800 |
320,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(c) | 303,476 |
265,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029(a) | 217,300 |
870,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029(a) | 782,243 |
395,000 | LBM Acquisition LLC, 6.250%, 1/15/2029(a) | 352,715 |
255,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030(a) | 225,675 |
275,000 | Patrick Industries, Inc., 4.750%, 5/01/2029(a) | 250,419 |
540,000 | Specialty Building Products Holdings LLC/SBP Finance Corp., 6.375%, 9/30/2026(a) | 529,610 |
225,000 | Standard Industries, Inc., 4.375%, 7/15/2030(a) | 206,637 |
305,000 | Summit Materials LLC/Summit Materials Finance Corp., 7.250%, 1/15/2031(a) | 321,380 |
5,625,692 | ||
Cable Satellite — 9.7% | ||
665,000 | Altice Financing SA, 5.000%, 1/15/2028(a) | 602,797 |
95,000 | Block Communications, Inc., 4.875%, 3/01/2028(a) | 83,125 |
Principal Amount | Description | Value (†) |
Cable Satellite — continued | ||
$295,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(a) | $257,727 |
4,065,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 3,303,329 |
1,170,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 6/01/2033(a) | 989,981 |
2,155,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030(a) | 1,969,163 |
605,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 441,392 |
200,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 151,215 |
6,090,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 3,666,913 |
585,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 353,925 |
1,790,000 | CSC Holdings LLC, 5.750%, 1/15/2030(a) | 1,114,275 |
280,000 | CSC Holdings LLC, 6.500%, 2/01/2029(a) | 247,128 |
1,795,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(a) | 1,686,540 |
2,140,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,102,935 |
705,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 604,009 |
555,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 442,668 |
175,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 104,611 |
1,355,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 943,771 |
205,000 | DISH Network Corp., 11.750%, 11/15/2027(a) | 213,991 |
480,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028(a) | 235,192 |
1,205,000 | Sirius XM Radio, Inc., 3.875%, 9/01/2031(a) | 1,030,861 |
275,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026(a) | 168,645 |
260,000 | Viasat, Inc., 6.500%, 7/15/2028(a) | 213,525 |
755,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029(a) | 729,513 |
920,000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027(a) | 895,401 |
21,552,632 | ||
Chemicals — 1.1% | ||
80,000 | Ashland, Inc., 3.375%, 9/01/2031(a) | 68,953 |
535,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028(a) | 386,326 |
750,000 | Braskem Netherlands Finance BV, 8.500%, 1/12/2031(a) | 697,500 |
805,000 | Hercules LLC, 6.500%, 6/30/2029 | 757,618 |
510,000 | Olympus Water U.S. Holding Corp., 9.750%, 11/15/2028(a) | 541,311 |
40,000 | W.R. Grace Holdings LLC, 5.625%, 8/15/2029(a) | 35,198 |
2,486,906 | ||
Consumer Cyclical Services — 2.7% | ||
1,120,000 | ADT Security Corp., 4.125%, 8/01/2029(a) | 1,030,680 |
260,000 | ANGI Group LLC, 3.875%, 8/15/2028(a) | 219,577 |
230,000 | Arches Buyer, Inc., 4.250%, 6/01/2028(a) | 208,296 |
110,000 | Arches Buyer, Inc., 6.125%, 12/01/2028(a) | 95,150 |
55,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 3.375%, 8/31/2027(a) | 50,996 |
90,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 4/15/2030(a) | 67,173 |
545,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029(a) | 423,554 |
760,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 725,015 |
715,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(a) | 716,793 |
1,080,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(a) | 1,118,480 |
940,000 | Uber Technologies, Inc., 8.000%, 11/01/2026(a) | 957,438 |
300,000 | VT Topco, Inc., 8.500%, 8/15/2030(a) | 312,111 |
5,925,263 | ||
Consumer Products — 1.2% | ||
255,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029(a) | 243,221 |
Principal Amount | Description | Value (†) |
Consumer Products — continued | ||
$455,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.625%, 7/15/2030(a) | $467,426 |
1,530,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029(a) | 1,369,482 |
510,000 | Newell Brands, Inc., 5.200%, 4/01/2026 | 502,968 |
140,000 | Prestige Brands, Inc., 3.750%, 4/01/2031(a) | 122,383 |
2,705,480 | ||
Diversified Manufacturing — 0.4% | ||
285,000 | Madison IAQ LLC, 5.875%, 6/30/2029(a) | 251,109 |
640,000 | Resideo Funding, Inc., 4.000%, 9/01/2029(a) | 558,400 |
809,509 | ||
Electric — 0.6% | ||
675,000 | Calpine Corp., 4.500%, 2/15/2028(a) | 642,026 |
31,000 | NRG Energy, Inc., 3.875%, 2/15/2032(a) | 26,538 |
105,000 | NRG Energy, Inc., 5.250%, 6/15/2029(a) | 101,680 |
135,000 | NRG Energy, Inc., 5.750%, 1/15/2028 | 134,504 |
320,000 | PG&E Corp., 5.000%, 7/01/2028 | 311,354 |
70,000 | PG&E Corp., 5.250%, 7/01/2030 | 67,518 |
150,000 | Talen Energy Supply LLC, 8.625%, 6/01/2030(a) | 159,380 |
1,443,000 | ||
Environmental — 0.8% | ||
20,000 | Clean Harbors, Inc., 5.125%, 7/15/2029(a) | 19,117 |
170,000 | Clean Harbors, Inc., 6.375%, 2/01/2031(a) | 172,730 |
935,000 | Covanta Holding Corp., 4.875%, 12/01/2029(a) | 816,900 |
530,000 | GFL Environmental, Inc., 4.000%, 8/01/2028(a) | 489,928 |
195,000 | GFL Environmental, Inc., 6.750%, 1/15/2031(a) | 200,905 |
1,699,580 | ||
Finance Companies — 5.3% | ||
255,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 260,028 |
155,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(a)(c) | 132,883 |
105,000 | Blackstone Secured Lending Fund, 2.750%, 9/16/2026 | 96,066 |
520,000 | Blackstone Secured Lending Fund, 3.625%, 1/15/2026 | 496,017 |
585,000 | Blue Owl Capital Corp., 3.400%, 7/15/2026 | 543,868 |
331,600 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024(a)(d) | 311,704 |
345,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(a) | 337,396 |
245,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(a) | 221,512 |
565,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031(a) | 526,811 |
685,000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027(a) | 679,862 |
1,465,000 | Navient Corp., 4.875%, 3/15/2028 | 1,361,062 |
395,000 | Navient Corp., 5.000%, 3/15/2027 | 381,355 |
335,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 310,024 |
40,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 35,390 |
940,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 804,410 |
140,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 131,096 |
990,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 1,008,601 |
455,000 | PennyMac Financial Services, Inc., 7.875%, 12/15/2029(a) | 468,362 |
410,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025(a) | 376,175 |
370,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 341,325 |
360,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 325,831 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$1,465,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | $1,288,462 |
1,645,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 1,397,474 |
11,835,714 | ||
Financial Other — 1.2% | ||
400,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 48,252 |
200,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(e) | 9,214 |
205,000 | Central China Real Estate Ltd., 7.650%, 8/27/2025(e) | 9,319 |
353,395 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(f) | 27,014 |
429,065 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(f) | 11,091 |
44,015 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–28.181%, 1/31/2031(a)(g) | 286 |
200,000 | China Evergrande Group, 8.750%, 6/28/2025(e) | 2,500 |
200,000 | China Evergrande Group, 9.500%, 4/11/2022(e) | 2,586 |
448,246 | Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(d) | 18,638 |
20,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 19,878 |
1,900,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1,706,626 |
475,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 466,320 |
400,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(e) | 12,956 |
400,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(e) | 11,500 |
400,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(e) | 11,500 |
610,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(e) | 19,703 |
210,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026(e) | 12,323 |
205,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(e) | 7,688 |
200,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(e) | 7,920 |
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(e) | 8,000 |
70,621 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(a)(d) | 8,637 |
70,621 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(a)(d) | 7,498 |
141,242 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(a)(d) | 13,185 |
211,863 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(a)(d) | 16,792 |
211,863 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(a)(d) | 15,741 |
99,527 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(a)(d) | 6,344 |
205,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(e) | 4,116 |
630,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(e) | 14,175 |
800,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(e) | 49,456 |
200,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(e) | 12,458 |
820,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(e) | 7,716 |
210,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(e) | 1,976 |
2,571,408 | ||
Food & Beverage — 0.9% | ||
80,000 | Aramark Services, Inc., 5.000%, 2/01/2028(a) | 77,603 |
335,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029(a) | 314,474 |
275,000 | HLF Financing SARL LLC/Herbalife International, Inc., 4.875%, 6/01/2029(a) | 215,933 |
670,000 | Lamb Weston Holdings, Inc., 4.375%, 1/31/2032(a) | 611,223 |
555,000 | Post Holdings, Inc., 4.625%, 4/15/2030(a) | 510,513 |
Principal Amount | Description | Value (†) |
Food & Beverage — continued | ||
$15,000 | Post Holdings, Inc., 5.750%, 3/01/2027(a) | $14,882 |
260,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029(a) | 224,947 |
1,969,575 | ||
Gaming — 2.3% | ||
350,000 | Boyd Gaming Corp., 4.750%, 6/15/2031(a) | 321,238 |
865,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(a) | 873,802 |
775,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(a) | 793,530 |
175,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(a) | 182,535 |
630,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029(a) | 554,576 |
30,000 | Penn Entertainment, Inc., 4.125%, 7/01/2029(a) | 25,650 |
525,000 | Sands China Ltd., 5.650%, 8/08/2028 | 520,616 |
450,000 | Studio City Finance Ltd., 5.000%, 1/15/2029(a) | 377,366 |
290,000 | Wynn Macau Ltd., 5.125%, 12/15/2029(a) | 257,656 |
465,000 | Wynn Macau Ltd., 5.500%, 1/15/2026(a) | 453,844 |
415,000 | Wynn Macau Ltd., 5.625%, 8/26/2028(a) | 384,342 |
420,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029(a) | 396,390 |
5,141,545 | ||
Government Owned - No Guarantee — 0.4% | ||
325,000 | Antares Holdings LP, 7.950%, 8/11/2028(a) | 336,214 |
365,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 291,452 |
285,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 218,580 |
846,246 | ||
Health Care REITs — 0.2% | ||
530,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.500%, 3/15/2031 | 331,370 |
Health Insurance — 0.5% | ||
675,000 | Centene Corp., 2.450%, 7/15/2028 | 601,155 |
60,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(a) | 53,934 |
550,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(a) | 480,570 |
1,135,659 | ||
Healthcare — 2.6% | ||
125,000 | AdaptHealth LLC, 4.625%, 8/01/2029(a) | 96,469 |
680,000 | AdaptHealth LLC, 5.125%, 3/01/2030(a) | 530,450 |
1,050,000 | Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(a) | 1,107,687 |
940,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030(a) | 786,166 |
610,000 | DaVita, Inc., 3.750%, 2/15/2031(a) | 501,024 |
100,000 | Fortrea Holdings, Inc., 7.500%, 7/01/2030(a) | 102,697 |
340,000 | Garden Spinco Corp., 8.625%, 7/20/2030(a) | 363,166 |
145,000 | Hologic, Inc., 3.250%, 2/15/2029(a) | 131,460 |
210,000 | Hologic, Inc., 4.625%, 2/01/2028(a) | 201,582 |
675,000 | LifePoint Health, Inc., 5.375%, 1/15/2029(a) | 499,134 |
435,000 | Medline Borrower LP, 3.875%, 4/01/2029(a) | 393,303 |
185,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025(a) | 148,017 |
750,000 | Star Parent, Inc., 9.000%, 10/01/2030(a) | 790,390 |
190,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026(a) | 158,756 |
5,810,301 | ||
Home Construction — 0.1% | ||
255,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030(a) | 224,256 |
200,000 | Corp. GEO SAB de CV, 8.875%, 3/27/2022(a)(e)(h) | — |
25,000 | Meritage Homes Corp., 3.875%, 4/15/2029(a) | 22,973 |
247,229 | ||
Independent Energy — 5.2% | ||
390,000 | Antero Resources Corp., 5.375%, 3/01/2030(a) | 373,800 |
Principal Amount | Description | Value (†) |
Independent Energy — continued | ||
$135,000 | Apache Corp., 4.750%, 4/15/2043 | $106,249 |
645,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026(a) | 649,076 |
415,000 | Baytex Energy Corp., 8.500%, 4/30/2030(a) | 429,488 |
625,000 | Baytex Energy Corp., 8.750%, 4/01/2027(a) | 645,716 |
840,000 | Chesapeake Energy Corp., 5.500%, 2/01/2026(a) | 832,725 |
275,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029(a) | 277,558 |
695,000 | Civitas Resources, Inc., 8.375%, 7/01/2028(a) | 725,542 |
230,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(a) | 243,966 |
320,000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026(a) | 321,973 |
515,000 | Crescent Energy Finance LLC, 9.250%, 2/15/2028(a) | 534,349 |
100,000 | Energian Israel Finance Ltd., 4.875%, 3/30/2026(a) | 92,000 |
200,000 | Energian Israel Finance Ltd., 5.375%, 3/30/2028(a) | 175,550 |
200,000 | Gulfport Energy Corp., 8.000%, 5/17/2026(a) | 202,170 |
785,000 | Leviathan Bond Ltd., 6.750%, 6/30/2030(a) | 714,469 |
505,000 | Matador Resources Co., 5.875%, 9/15/2026 | 500,808 |
330,000 | Matador Resources Co., 6.875%, 4/15/2028(a) | 334,724 |
115,000 | MEG Energy Corp., 5.875%, 2/01/2029(a) | 111,739 |
300,000 | Murphy Oil Corp., 5.875%, 12/01/2042 | 265,054 |
690,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028(a) | 698,625 |
300,000 | Northern Oil & Gas, Inc., 8.750%, 6/15/2031(a) | 312,479 |
220,000 | Permian Resources Operating LLC, 5.875%, 7/01/2029(a) | 214,491 |
260,000 | Permian Resources Operating LLC, 6.875%, 4/01/2027(a) | 259,822 |
410,000 | Permian Resources Operating LLC, 7.000%, 1/15/2032(a) | 422,986 |
180,000 | Range Resources Corp., 8.250%, 1/15/2029 | 186,295 |
1,070,000 | Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.875%, 11/01/2028(a) | 1,108,755 |
240,000 | SM Energy Co., 5.625%, 6/01/2025 | 237,171 |
35,000 | SM Energy Co., 6.625%, 1/15/2027 | 34,802 |
230,000 | SM Energy Co., 6.750%, 9/15/2026 | 229,401 |
195,000 | Southwestern Energy Co., 5.375%, 2/01/2029 | 190,299 |
225,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026(a) | 214,809 |
11,646,891 | ||
Industrial Other — 0.2% | ||
315,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026(a) | 314,846 |
150,000 | Installed Building Products, Inc., 5.750%, 2/01/2028(a) | 145,500 |
460,346 | ||
Leisure — 4.2% | ||
1,405,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 1,370,484 |
880,000 | Carnival Corp., 6.000%, 5/01/2029(a) | 846,741 |
75,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 78,309 |
265,000 | Cinemark USA, Inc., 5.250%, 7/15/2028(a) | 243,112 |
1,735,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 1,695,369 |
20,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 19,543 |
430,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | 449,170 |
165,000 | NCL Finance Ltd., 6.125%, 3/15/2028(a) | 157,943 |
425,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 391,798 |
780,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(a) | 753,382 |
1,495,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 1,475,952 |
265,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029(a) | 247,726 |
335,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027(a) | 314,475 |
355,000 | Viking Cruises Ltd., 5.875%, 9/15/2027(a) | 342,575 |
150,000 | Viking Cruises Ltd., 7.000%, 2/15/2029(a) | 148,711 |
Principal Amount | Description | Value (†) |
Leisure — continued | ||
$550,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029(a) | $536,250 |
295,000 | VOC Escrow Ltd., 5.000%, 2/15/2028(a) | 282,557 |
9,354,097 | ||
Lodging — 2.0% | ||
145,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032(a) | 126,543 |
1,160,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(a) | 1,026,834 |
725,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(a) | 668,846 |
1,875,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 1,652,269 |
725,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 649,299 |
205,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 183,331 |
5,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 4,972 |
120,000 | Travel & Leisure Co., 6.625%, 7/31/2026(a) | 121,051 |
4,433,145 | ||
Media Entertainment — 1.4% | ||
555,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026(a)(e) | 27,750 |
310,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027(a)(e) | 15,500 |
1,375,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(a) | 1,057,794 |
475,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 377,423 |
130,000 | iHeartCommunications, Inc., 6.375%, 5/01/2026 | 110,835 |
210,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 7.375%, 2/15/2031(a) | 220,530 |
150,000 | Playtika Holding Corp., 4.250%, 3/15/2029(a) | 130,882 |
1,265,000 | Stagwell Global LLC, 5.625%, 8/15/2029(a) | 1,166,482 |
3,107,196 | ||
Metals & Mining — 3.2% | ||
270,000 | ATI, Inc., 4.875%, 10/01/2029 | 251,629 |
325,000 | ATI, Inc., 5.875%, 12/01/2027 | 320,271 |
390,000 | ATI, Inc., 7.250%, 8/15/2030 | 405,753 |
350,000 | Commercial Metals Co., 4.125%, 1/15/2030 | 320,700 |
2,795,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026(a) | 2,501,904 |
410,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | 348,437 |
945,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028(a) | 626,450 |
320,000 | GrafTech Global Enterprises, Inc., 9.875%, 12/15/2028(a) | 246,678 |
235,000 | Mineral Resources Ltd., 8.000%, 11/01/2027(a) | 239,803 |
475,000 | Mineral Resources Ltd., 8.125%, 5/01/2027(a) | 482,548 |
470,000 | Mineral Resources Ltd., 9.250%, 10/01/2028(a) | 499,972 |
785,000 | Novelis Corp., 4.750%, 1/30/2030(a) | 738,252 |
76,000 | U.S. Steel Corp., 6.875%, 3/01/2029 | 77,753 |
90,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(a) | 55,918 |
7,116,068 | ||
Midstream — 4.7% | ||
225,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029(a) | 216,308 |
285,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026(a) | 291,903 |
185,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 142,344 |
130,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 105,313 |
260,000 | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.500%, 6/15/2031(a) | 246,377 |
275,000 | Energy Transfer LP, 6.000%, 2/01/2029(a) | 277,470 |
1,130,000 | Energy Transfer LP, Series A, 3 mo. USD LIBOR + 4.028%, 9.669%(b)(c) | 1,085,155 |
Principal Amount | Description | Value (†) |
Midstream — continued | ||
$360,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(a) | $367,420 |
70,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045 | 57,925 |
255,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 222,487 |
360,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 313,316 |
105,000 | Enterprise Products Operating LLC, Series E, (fixed rate to 8/16/2027, variable rate thereafter), 5.250%, 8/16/2077 | 100,381 |
155,000 | EQM Midstream Partners LP, 4.125%, 12/01/2026 | 149,712 |
100,000 | EQM Midstream Partners LP, 5.500%, 7/15/2028 | 99,083 |
167,000 | EQM Midstream Partners LP, 6.000%, 7/01/2025(a) | 166,923 |
470,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027(a) | 478,569 |
95,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 97,346 |
575,000 | EQM Midstream Partners LP, 7.500%, 6/01/2027(a) | 592,478 |
135,000 | EQM Midstream Partners LP, 7.500%, 6/01/2030(a) | 145,128 |
275,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026(a) | 269,127 |
680,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(a) | 625,600 |
335,000 | Hess Midstream Operations LP, 5.125%, 6/15/2028(a) | 323,207 |
515,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026(a) | 511,230 |
475,000 | Kinetik Holdings LP, 5.875%, 6/15/2030(a) | 466,000 |
620,000 | Kinetik Holdings LP, 6.625%, 12/15/2028(a) | 631,663 |
265,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031(a) | 240,245 |
220,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 | 204,363 |
1,035,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 877,109 |
600,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 528,604 |
530,000 | Venture Global LNG, Inc., 8.375%, 6/01/2031(a) | 529,726 |
10,362,512 | ||
Non-Agency Commercial Mortgage-Backed Securities — 1.5% | ||
94,076 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1 mo. USD SOFR + 3.614%, 8.976%, 11/15/2031(a)(b) | 42,251 |
329,268 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1 mo. USD SOFR + 4.614%, 9.976%, 11/15/2031(a)(b) | 125,114 |
590,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.937%, 5/10/2047(a)(b) | 366,260 |
405,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045(a) | 314,766 |
795,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037(a) | 373,604 |
110,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.153%, 8/10/2044(a)(b) | 76,965 |
935,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.153%, 8/10/2044(a)(b) | 277,396 |
100,000 | GS Mortgage Securities Trust, Series 2013-GC13, Class C, 3.833%, 7/10/2046(a)(b) | 69,082 |
170,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.685%, 6/10/2047(a)(b) | 100,693 |
465,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046(a)(b) | 390,465 |
275,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044(a)(b) | 194,791 |
295,000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.282%, 10/15/2030(a)(b) | 177,687 |
97,150 | Starwood Retail Property Trust, Series 2014-STAR, Class A, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b) | 68,559 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$320,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(f)(h) | $72,512 |
350,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(f)(h) | 17,500 |
325,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050 | 123,527 |
145,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.118%, 11/15/2059(b) | 103,005 |
158,612 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.855%, 3/15/2044(a)(b) | 45,966 |
205,000 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 4.979%, 6/15/2044(a)(b) | 140,311 |
530,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.329%, 12/15/2045(b) | 361,023 |
3,441,477 | ||
Oil Field Services — 1.7% | ||
280,000 | Diamond Foreign Asset Co./Diamond Finance LLC, 8.500%, 10/01/2030(a) | 286,329 |
300,000 | Nabors Industries, Inc., 9.125%, 1/31/2030(a) | 301,218 |
115,000 | Oceaneering International, Inc., 6.000%, 2/01/2028(a) | 112,050 |
220,000 | Seadrill Finance Ltd., 8.375%, 8/01/2030(a) | 229,533 |
240,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026(a) | 243,229 |
275,000 | Transocean Aquila Ltd., 8.000%, 9/30/2028(a) | 279,116 |
1,282,500 | Transocean Poseidon Ltd., 6.875%, 2/01/2027(a) | 1,276,130 |
245,000 | Transocean Titan Financing Ltd., 8.375%, 2/01/2028(a) | 254,184 |
415,000 | Transocean, Inc., 7.500%, 1/15/2026(a) | 409,261 |
395,000 | Weatherford International Ltd., 8.625%, 4/30/2030(a) | 412,403 |
3,803,453 | ||
Other REITs — 0.6% | ||
100,000 | Service Properties Trust, 3.950%, 1/15/2028 | 81,927 |
380,000 | Service Properties Trust, 4.750%, 10/01/2026 | 354,588 |
330,000 | Service Properties Trust, 7.500%, 9/15/2025 | 333,667 |
590,000 | Service Properties Trust, 8.625%, 11/15/2031(a) | 617,985 |
1,388,167 | ||
Packaging — 0.2% | ||
259,274 | ARD Finance SA, 7.250% PIK or 6.500% Cash, 6/30/2027(a)(i) | 121,128 |
170,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028(a) | 153,000 |
215,000 | Sealed Air Corp./Sealed Air Corp. U.S., 6.125%, 2/01/2028(a) | 216,851 |
490,979 | ||
Pharmaceuticals — 3.8% | ||
1,945,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 1,171,363 |
915,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030(a) | 421,788 |
285,000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027(a) | 192,375 |
385,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028(a) | 365,511 |
1,245,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031(a) | 1,064,282 |
485,000 | Perrigo Finance Unlimited Co., 4.650%, 6/15/2030 | 441,155 |
230,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 220,108 |
1,400,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 1,296,260 |
3,275,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 2,216,678 |
Principal Amount | Description | Value (†) |
Pharmaceuticals — continued | ||
$545,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | $520,500 |
220,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 237,107 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 218,116 |
8,365,243 | ||
Property & Casualty Insurance — 1.7% | ||
270,000 | Acrisure LLC/Acrisure Finance, Inc., 4.250%, 2/15/2029(a) | 243,797 |
95,000 | Acrisure LLC/Acrisure Finance, Inc., 4.250%, 2/15/2029 | 85,780 |
330,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.750%, 10/15/2027(a) | 328,833 |
440,000 | AmWINS Group, Inc., 4.875%, 6/30/2029(a) | 401,823 |
339,426 | Ardonagh Midco 2 PLC, 12.750% PIK or 11.500% Cash, 1/15/2027(a)(d) | 336,038 |
255,000 | AssuredPartners, Inc., 5.625%, 1/15/2029(a) | 238,055 |
275,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029(a) | 256,699 |
650,000 | HUB International Ltd., 7.250%, 6/15/2030(a) | 686,549 |
705,000 | Liberty Mutual Group, Inc., 4.300%, 2/01/2061(a) | 465,822 |
740,000 | USI, Inc., 7.500%, 1/15/2032(a) | 757,612 |
3,801,008 | ||
Refining — 1.0% | ||
590,000 | CVR Energy, Inc., 5.250%, 2/15/2025(a) | 588,997 |
580,000 | CVR Energy, Inc., 8.500%, 1/15/2029(a) | 577,100 |
215,000 | HF Sinclair Corp., 5.000%, 2/01/2028(a) | 208,508 |
245,000 | HF Sinclair Corp., 6.375%, 4/15/2027(a) | 246,921 |
340,000 | Parkland Corp., 4.500%, 10/01/2029(a) | 311,600 |
215,000 | PBF Holding Co. LLC/PBF Finance Corp., 7.875%, 9/15/2030(a) | 218,978 |
2,152,104 | ||
Restaurants — 1.3% | ||
85,000 | 1011778 BC ULC/New Red Finance, Inc., 3.500%, 2/15/2029 | 78,366 |
55,000 | 1011778 BC ULC/New Red Finance, Inc., 3.500%, 2/15/2029(a) | 50,708 |
1,635,000 | 1011778 BC ULC/New Red Finance, Inc., 3.875%, 1/15/2028(a) | 1,544,623 |
230,000 | Bloomin' Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029(a) | 212,181 |
575,000 | Papa John's International, Inc., 3.875%, 9/15/2029(a) | 508,623 |
305,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 275,047 |
340,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 317,934 |
2,987,482 | ||
Retailers — 1.8% | ||
306,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 290,623 |
715,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029(a) | 661,805 |
99,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 92,414 |
145,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 143,414 |
90,000 | Bath & Body Works, Inc., 6.625%, 10/01/2030(a) | 91,985 |
545,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 551,830 |
45,000 | Crocs, Inc., 4.125%, 8/15/2031(a) | 38,079 |
480,000 | Dillard's, Inc., 7.000%, 12/01/2028 | 499,502 |
130,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028(a) | 123,031 |
120,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(a) | 109,083 |
200,000 | Michaels Cos., Inc., 7.875%, 5/01/2029(a) | 125,918 |
275,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026(a) | 264,260 |
120,000 | Nordstrom, Inc., 4.250%, 8/01/2031 | 99,901 |
Principal Amount | Description | Value (†) |
Retailers — continued | ||
$525,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029(a) | $477,756 |
345,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031(a) | 307,517 |
30,000 | Victoria's Secret & Co., 4.625%, 7/15/2029(a) | 25,075 |
3,902,193 | ||
Technology — 5.4% | ||
555,000 | Cloud Software Group, Inc., 6.500%, 3/31/2029(a) | 528,605 |
1,950,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 811,688 |
340,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 228,278 |
245,000 | CommScope, Inc., 6.000%, 3/01/2026(a) | 218,413 |
160,000 | Dun & Bradstreet Corp., 5.000%, 12/15/2029(a) | 149,251 |
540,000 | Elastic NV, 4.125%, 7/15/2029(a) | 495,853 |
140,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(a) | 127,082 |
360,000 | Gartner, Inc., 3.750%, 10/01/2030(a) | 318,230 |
575,000 | GoTo Group, Inc., 5.500%, 9/01/2027(a) | 278,123 |
756,000 | GTCR W-2 Merger Sub LLC, 7.500%, 1/15/2031(a) | 798,882 |
480,000 | Iron Mountain, Inc., 4.500%, 2/15/2031(a) | 434,648 |
740,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(a) | 700,842 |
225,000 | Iron Mountain, Inc., 5.250%, 7/15/2030(a) | 214,179 |
75,000 | Iron Mountain, Inc., 5.250%, 7/15/2030 | 71,393 |
950,000 | NCR Atleos Corp., 9.500%, 4/01/2029(a) | 1,009,371 |
825,000 | NCR Voyix Corp., 5.000%, 10/01/2028(a) | 779,846 |
375,000 | NCR Voyix Corp., 5.125%, 4/15/2029(a) | 356,476 |
25,000 | NCR Voyix Corp., 5.250%, 10/01/2030(a) | 22,959 |
440,000 | Neptune Bidco U.S., Inc., 9.290%, 4/15/2029(a) | 410,299 |
710,000 | Newfold Digital Holdings Group, Inc., 11.750%, 10/15/2028(a) | 763,783 |
455,000 | Open Text Corp., 6.900%, 12/01/2027(a) | 473,041 |
25,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030(a) | 22,627 |
150,000 | Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.000%, 6/15/2029(a) | 132,370 |
85,000 | Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.000%, 6/15/2029 | 75,010 |
130,000 | Presidio Holdings, Inc., 4.875%, 2/01/2027(a) | 127,439 |
130,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028(a) | 131,337 |
235,000 | Sabre Global, Inc., 11.250%, 12/15/2027(a) | 230,894 |
175,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 162,162 |
100,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 98,081 |
375,000 | Seagate HDD Cayman, 8.250%, 12/15/2029(a) | 404,448 |
970,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 854,308 |
80,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030(a) | 74,197 |
230,000 | Western Digital Corp., 2.850%, 2/01/2029 | 198,001 |
100,000 | Western Digital Corp., 3.100%, 2/01/2032 | 79,560 |
130,000 | Western Digital Corp., 4.750%, 2/15/2026 | 127,532 |
222,000 | Ziff Davis, Inc., 4.625%, 10/15/2030(a) | 203,670 |
12,112,878 | ||
Transportation Services — 0.6% | ||
1,435,000 | Rand Parent LLC, 8.500%, 2/15/2030(a) | 1,372,506 |
Wireless — 1.3% | ||
445,000 | Altice France Holding SA, 10.500%, 5/15/2027(a) | 287,252 |
1,285,000 | Altice France SA, 5.125%, 1/15/2029(a) | 999,406 |
200,000 | Altice France SA, 8.125%, 2/01/2027(a) | 184,366 |
315,000 | IHS Holding Ltd., 5.625%, 11/29/2026(a) | 273,338 |
1,150,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 1,048,984 |
100,000 | Vodafone Group PLC, (fixed rate to 12/04/2050, variable rate thereafter), 5.125%, 6/04/2081 | 75,287 |
2,868,633 | ||
Wirelines — 1.7% | ||
220,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 183,498 |
825,000 | Frontier Communications Holdings LLC, 5.000%, 5/01/2028(a) | 762,446 |
Principal Amount | Description | Value (†) |
Wirelines — continued | ||
$690,000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027(a) | $666,610 |
225,000 | Frontier Communications Holdings LLC, 8.750%, 5/15/2030(a) | 231,459 |
455,000 | Iliad Holding SASU, 6.500%, 10/15/2026(a) | 454,110 |
450,000 | Level 3 Financing, Inc., 3.625%, 1/15/2029(a) | 189,000 |
155,000 | Level 3 Financing, Inc., 4.250%, 7/01/2028(a) | 76,725 |
310,000 | Lumen Technologies, Inc., 4.000%, 2/15/2027(a) | 200,065 |
100,000 | Telecom Italia Capital SA, 6.000%, 9/30/2034 | 94,968 |
330,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033 | 322,775 |
265,000 | Telecom Italia Capital SA, 7.200%, 7/18/2036 | 266,013 |
485,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028(a) | 418,019 |
3,865,688 | ||
Total Non-Convertible Bonds (Identified Cost $206,481,694) | 189,616,151 | |
Convertible Bonds — 3.7% | ||
Airlines — 0.4% | ||
865,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 874,083 |
Cable Satellite — 1.3% | ||
4,830,000 | DISH Network Corp., 3.375%, 8/15/2026 | 2,559,900 |
545,000 | DISH Network Corp., Zero Coupon, 0.000%–33.748%, 12/15/2025(g) | 337,900 |
2,897,800 | ||
Consumer Cyclical Services — 0.0% | ||
55,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 74,965 |
Financial Other — 0.0% | ||
87,296 | Sunac China Holdings Ltd., 7.800% PIK or 7.800% Cash, 9/30/2032(a)(d) | 6,547 |
Gaming — 0.1% | ||
115,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 148,925 |
Healthcare — 0.8% | ||
565,000 | Envista Holdings Corp., 1.750%, 8/15/2028(a) | 514,150 |
1,655,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 1,360,244 |
1,874,394 | ||
Leisure — 0.2% | ||
365,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 335,574 |
Pharmaceuticals — 0.8% | ||
1,330,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 1,365,777 |
495,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 462,785 |
1,828,562 | ||
Technology — 0.1% | ||
65,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | 43,778 |
135,000 | Wolfspeed, Inc., 1.875%, 12/01/2029 | 92,002 |
135,780 | ||
Total Convertible Bonds (Identified Cost $11,547,686) | 8,176,630 | |
Total Bonds and Notes (Identified Cost $218,029,380) | 197,792,781 | |
Senior Loans — 3.1% | ||
Aerospace & Defense — 0.3% | ||
760,000 | TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 3.250%, 8.598%, 2/14/2031(b)(j) | 762,850 |
Principal Amount | Description | Value (†) |
Brokerage — 0.2% | ||
$324,169 | Edelman Financial Center LLC, 2021 Term Loan B, 4/07/2028(k) | $324,373 |
Chemicals — 0.2% | ||
365,085 | Chemours Co., 2023 USD Term Loan B, 1 mo. USD SOFR + 3.500%, 8.856%, 8/18/2028(b)(j) | 363,990 |
Electric — 0.1% | ||
132,335 | Talen Energy Supply LLC, 2023 Term Loan B, 3 mo. USD SOFR + 4.500%, 9.869%, 5/17/2030(b)(j) | 132,887 |
Food & Beverage — 0.2% | ||
470,000 | Chobani LLC, 2023 Incremental Term Loan, 3 mo. USD SOFR + 3.750%, 9.112%, 10/25/2027(b)(j) | 470,390 |
Healthcare — 0.5% | ||
368,000 | IVC Acquisition Ltd., 2023 USD Term Loan B, 11/17/2028(k) | 368,305 |
631,156 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.348%, 9/27/2030(b)(j) | 623,002 |
991,307 | ||
Leisure — 0.5% | ||
871,431 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.720%, 10/18/2028(b)(j) | 871,797 |
241,553 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.357%, 8/08/2027(b)(j) | 241,754 |
1,113,551 | ||
Media Entertainment — 0.2% | ||
550,043 | MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.606%, 5/03/2028(b)(j) | 539,884 |
Property & Casualty Insurance — 0.4% | ||
191,973 | Acrisure LLC, 2020 Term Loan B, 2/15/2027(b)(j) | 191,323 |
371,962 | Acrisure LLC, 2020 Term Loan B, 2/15/2027(k) | 370,701 |
74,972 | AssuredPartners, Inc., 2023 Term Loan B4, 2/12/2027(k) | 75,106 |
62,468 | USI, Inc., 2023 Acquisition Term Loan, 3 mo. USD SOFR + 3.250%, 8.598%, 9/27/2030(b)(j) | 62,487 |
256,062 | USI, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 3.000%, 8.348%, 11/22/2029(b)(j) | 256,261 |
955,878 | ||
Technology — 0.3% | ||
280,000 | Iron Mountain, Inc., 2023 Term Loan B, 1/31/2031(k) | 279,826 |
476,165 | Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 3 mo. USD SOFR + 5.000%, 10.507%, 4/11/2029(b)(j) | 433,906 |
713,732 | ||
Transportation Services — 0.2% | ||
433,924 | PODS LLC, 2021 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.470%, 3/31/2028(k) | 424,004 |
Total Senior Loans (Identified Cost $6,738,347) | 6,792,846 | |
Collateralized Loan Obligations — 1.3% | ||
250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3 mo. USD SOFR + 6.862%, 12.277%, 12/19/2032(a)(b) | 232,080 |
670,000 | Clover CLO LLC, Series 2021-2A, Class E, 3 mo. USD SOFR + 6.762%, 12.177%, 7/20/2034(a)(b) | 666,947 |
665,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3 mo. USD SOFR + 6.512%, 11.927%, 7/02/2035(a)(b) | 664,937 |
Principal Amount | Description | Value (†) |
$340,000 | Palmer Square CLO Ltd., Series 2021-3A, Class E, 3 mo. USD SOFR + 6.412%, 11.806%, 1/15/2035(a)(b) | $335,629 |
530,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3 mo. USD SOFR + 6.312%, 11.706%, 10/15/2034(a)(b) | 521,616 |
275,000 | PPM CLO 5 Ltd., Series 2021-5A, Class E, 3 mo. USD SOFR + 6.762%, 12.157%, 10/18/2034(a)(b) | 261,403 |
320,000 | Whetstone Park CLO Ltd., Series 2021-1A, Class E, 3 mo. USD SOFR + 6.412%, 11.827%, 1/20/2035(a)(b) | 304,031 |
Total Collateralized Loan Obligations (Identified Cost $3,050,000) | 2,986,643 |
Shares | ||
Common Stocks— 0.6% | ||
Biotechnology — 0.2% | ||
2,125 | AbbVie, Inc. | 329,311 |
Energy Equipment & Services — 0.0% | ||
11,343 | McDermott International Ltd.(f) | 1,021 |
Media — 0.1% | ||
68,328 | Altice USA, Inc., Class A(f) | 222,066 |
Oil, Gas & Consumable Fuels — 0.3% | ||
2,801 | Battalion Oil Corp.(f) | 26,918 |
5,003 | Canadian Natural Resources Ltd. | 327,796 |
2,021 | Diamondback Energy, Inc. | 313,417 |
668,131 | ||
Professional Services — 0.0% | ||
265 | Clarivate PLC(f) | 2,454 |
Total Common Stocks (Identified Cost $2,491,047) | 1,222,983 | |
Preferred Stocks — 0.3% | ||
Convertible Preferred Stock — 0.3% | ||
Technology — 0.3% | ||
17,227 | Clarivate PLC, Series A, 5.250% (Identified Cost $1,009,076) | 659,794 |
Warrants — 0.0% | ||
22,710 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024, (f)(h) | — |
25,233 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024, (f)(h) | — |
Total Warrants (Identified Cost $35,226) | — |
Principal Amount | Description | Value (†) |
Short-Term Investments — 5.2% | ||
$4,679,649 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $4,680,949 on 1/02/2024 collateralized by $5,305,400 U.S. Treasury Note, 0.625% due 3/31/2027 valued at $4,773,273 including accrued interest(l) | $4,679,649 |
1,915,000 | U.S. Treasury Bills, 5.170%–5.238%, 4/09/2024(m)(n) | 1,887,913 |
5,065,000 | U.S. Treasury Bills, 5.291%, 1/04/2024(n) | 5,063,528 |
Total Short-Term Investments (Identified Cost $11,630,066) | 11,631,090 | |
Total Investments — 99.4% (Identified Cost $242,983,142) | 221,086,137 | |
Other assets less liabilities — 0.6% | 1,366,211 | |
Net Assets — 100.0% | $222,452,348 |
(†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board's oversight. Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share. Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available. Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers. The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund's NAV is calculated. Fair valuation by the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, the value of Rule 144A holdings amounted to $153,808,069 or 69.1% of net assets. |
(b) | Variable rate security. Rate as of December 31, 2023 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(c) | Perpetual bond with no specified maturity date. |
(d) | Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were received during the period. |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(f) | Non-income producing security. |
(g) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(h) | Level 3 security. Value has been determined using significant unobservable inputs. |
(i) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2023, interest payments were made in cash. |
(j) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate which may range from 0.00% to 2.50%, to which the spread is added. |
(k) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(l) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of December 31, 2023, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(m) | The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(n) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ABS | Asset-Backed Securities |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the "protection buyer" and "protection seller") to exchange the credit risk of an issuer ("reference obligation") for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments ("fees") over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter ("OTC") market and may be entered into as a bilateral contract or centrally cleared ("centrally cleared swaps"). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the "CCP") and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as "variation margin," are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund's counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty.
At December 31, 2023, the Fund had the following open centrally cleared credit default swap agreements: |
Sell Protection |
Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread^ | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) |
CDX.NA.HY* .S41 500, 5-Year | 5.00% | 12/20/2028 | 3.56 % | 2,079,000 | $(24,313 ) | $124,727 | $149,040 |
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Fair Value Measurements.
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2023, at value:
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
Non-Agency Commercial Mortgage-Backed Securities | $— | $3,351,465 | $90,012 | $3,441,477 |
All Other Non-Convertible Bonds(a) | — | 186,174,674 | — | 186,174,674 |
Total Non-Convertible Bonds | — | 189,526,139 | 90,012 | 189,616,151 |
Convertible Bonds(a) | — | 8,176,630 | — | 8,176,630 |
Total Bonds and Notes | — | 197,702,769 | 90,012 | 197,792,781 |
Senior Loans(a) | — | 6,792,846 | — | 6,792,846 |
Collateralized Loan Obligations | — | 2,986,643 | — | 2,986,643 |
Common Stocks(a) | 1,222,983 | — | — | 1,222,983 |
Preferred Stocks(a) | 659,794 | — | — | 659,794 |
Warrants | — | — | — | — |
Short-Term Investments | — | 11,631,090 | — | 11,631,090 |
Total Investments | 1,882,777 | 219,113,348 | 90,012 | 221,086,137 |
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 149,040 | — | 149,040 |
Total | $1,882,777 | $219,262,388 | $90,012 | $221,235,177 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2023 and/or December 31, 2023:
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2023 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Home Construction | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of September 30, 2023 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Non-Agency Commercial Mortgage- Backed Securities | $86,012 | $— | $— | $4,000 | $— | $— | $— | $— | $90,012 | $4,000 |
Warrants | — | — | — | — | — | — | — | — | — | — |
Total | $86,012 | $— | $— | $4,000 | $— | $— | $— | $— | $90,012 | $4,000 |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. As of December 31, 2023, the Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure.
The following is a summary of derivative instruments for the Fund, as of December 31, 2023:
Assets | Swap agreements at value |
Exchange-traded/cleared asset derivatives | |
Credit contracts | $149,040 |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.
Industry Summary at December 31, 2023 (Unaudited) | |
Cable Satellite | 11.0% |
Technology | 6.1 |
Finance Companies | 5.3 |
Independent Energy | 5.2 |
Leisure | 4.9 |
Midstream | 4.7 |
Pharmaceuticals | 4.6 |
Healthcare | 3.9 |
Metals & Mining | 3.2 |
Automotive | 2.9 |
Consumer Cyclical Services | 2.7 |
Building Materials | 2.5 |
Gaming | 2.4 |
Property & Casualty Insurance | 2.1 |
Lodging | 2.0 |
Aerospace & Defense | 2.0 |
Other Investments, less than 2% each | 27.4 |
Collateralized Loan Obligations | 1.3 |
Short-Term Investments | 5.2 |
Total Investments | 99.4 |
Other assets less liabilities (including swap agreements) | 0.6 |
Net Assets | 100.0% |